Title :
Optimal filtering for degenerate nonlinear diffusions
Author :
Carravetta, Francesco ; Germani, Alfredo ; Manes, Costanzo
Author_Institution :
Ist. di Analisi dei Sistemi ed Inf., CNR, Rome, Italy
Abstract :
The optimal filtering problem for a nonlinear stochastic system with a non-elliptic diffusion term is studied. Under a more general geometric assumption involving the system reachability, (which includes the strong elliptic case), a Zakai-like equation is derived, and the existence and unicity of the solution is proved. This equation results to be satisfied by a suitably defined unnormalized conditional probability density, from which the optimal state-estimate can be easily derived
Keywords :
Markov processes; diffusion; filtering theory; nonlinear systems; probability; state estimation; stochastic systems; Zakai-like equation; degenerate nonlinear diffusions; nonelliptic diffusion term; nonlinear stochastic system; optimal filtering problem; optimal state-estimate; system reachability; unicity; Control theory; Differential equations; Ear; Filtering; Nonlinear equations; Nonlinear systems; Stochastic processes; Stochastic systems; Testing;
Conference_Titel :
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-5250-5
DOI :
10.1109/CDC.1999.833264
